Forecasting in economics and finance

Graham Elliott, Allan Timmermann

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Abstract

Practices used to address economic forecasting problems have undergone substantial changes over recent years. We review how such changes have influenced the ways in which a range of forecasting questions are being addressed. We also discuss the promises and challenges arising from access to big data. Finally, we review empirical evidence and experience accumulated from the use of forecasting methods to a range of economic and financial variables.

Original languageEnglish
JournalAnnual Review of Economics
Volume8
Pages (from-to)81-110
Number of pages30
ISSN1941-1383
DOIs
Publication statusPublished - 2016

Keywords

  • Big data
  • Forecast evaluation
  • Forecast models
  • Model instability
  • Model misspecification
  • Parameter estimation
  • Risk

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